The London-based firm’s tail risk fund, Black Orlov, soared 101% last year. Then again, such returns are nothing new for 36 South, whose previous black swan fund, shuttered in 2009, returned 234% during the economic crisis in 2008.

36 South launched the new fund in 2010. It didn’t do very well initially—its return since inception in June of that year is just 43%. But it earned hundreds of percent on its positive carry U.S. dollar interest rate swaps, HFMWeek reports.

“We are very proud of the performance of this product, through what has been quite a difficult trading environment in terms of value opportunities and market behavior,” principal Anthony Limbrick said. “The performance is a testament to a systematic approach to finding value based on proprietary processes and analytical tools.”

From the current issue of

The ratio calendar combination spread couples two ratio calendar spreads, one using calls and the other using puts. The call strike prices are higher than the put strike prices. This strategy is complex and profit is limited, but if a high amount of time value is involved in the short positions, that profit can be substantial and risk is still limited.